Both Sandor and Gregor, in the books and the show, are dead. Or, at least, we're left thinking that they have died as a result of their wounds. In the books the Hound is left severely injured after fighting with Polliver and the Tickler, and as he lays dying he begs Arya for death. However, she refuses to show him any mercy, and simply walks away from him. It plays out pretty similar in the show, except that it is after a fight with Brienne he's left wounded. In both scenarios, the last time we see him, he is still alive. As for the Mountain, he appears to have been defeated by the Red Viper in their trial by combat, only to come back and crush his skull. Still, it's revealed that the spear was poisoned, and we're allowed to believe that this has ultimately done for Gregor in the long-run. It is apparently confirmed in the books, when Aruane Waters makes reference to the elder Clegane brother's head being chopped off, and Cersei stating that he "perished of his wounds." However, this follows a lot of talk from Qyburn about keeping the man alive, and in the show he's seen conducting some strange experiments. Thus it is that while both men may well have died, it seems to be something deliberately left with an air of mystery to it. After all, if you don't see people die on-screen, there's generally a reason behind it.